THE ANNALS OF APPLIED PROBABILITY ( To Appear ) Stochastic Calculus for BrownianMotion on a Brownian FractureBy


(To Appear) Stochastic Calculus for Brownian Motion on a Brownian Fracture By Davar Khoshnevisan* & Thomas M. Lewis University of Utah & Furman University Abstract. The impetus behind this work is a pathwise development of stochastic integrals with respect to iterated Brownian motion. We also provide a detailed analysis of the variations of iterated… (More)


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